1Assistant Professor, Department of Commerce, Government First Grade College Shiralakoppa (Affiliated to Kuvempu University), Karnataka. Email id: raghavpondiuni@gmail.com
2Assistant Professor, PG Dept of Commerce, PES Science, Arts and Commerce College, Mandya, Karnataka
This paper is to analyze the efficiency of Gold commodity markets by assessing the relationships between futures prices and spot market prices traded in India during the sample period of January 2013 to June 2017 collected from Multi Commodity Exchange (MCX). The econometric tools like Unit root tests, Johansen co-integration test and Pairwise Granger Causality tests were employed in the study. The Augmented Dickey Fuller tests and Phillips Perron tests employed in the study proved that both the gold prices were stationary series, Johansen co-integration test proved Gold spot and future markets are cointegrating each other and the Granger Causality test proved bi-directional causality relationships between spot and future market return series during the study period.
Gold Commodity market, Granger Causality test, Futures, Spot. Efficiency
